Analysis of Regimes in Housing and REIT Markets: 1997 - 2017

Abstract

This thesis is divided into three parts: first, a discussion of the ongoing academic debate about the main drivers of the Global Financial Crisis (“GFC”); second, a new look at the evolution of household real estate investments using data from the Survey of Consumer Finances; third, an exploration of abnormal behavior in the markets for Real Estate Investment Trusts (REITs) and their underlying assets in the years prior to the GFC. The analysis of REITs draws from regime-filtering techniques developed by Mulvey and Liu (2016) and from principal component analysis as used by Kritzman et al. (2011). Using multiple data sources and different statistical techniques, our analysis of real estate investment trends expands on the academic debate here mentioned and points to promising areas of future research to understand the abnormal behavior of public markets prior to the financial collapse of 2008.